Browsing by Subject "VaR diagnostics"
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market (Department of Applied Economics, 2010-05-29)Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset ...
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution (Faculty of Economics, University of Cambridge, UK, 2007-06)This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized ...